Search Results - "Otranto, Edoardo"

Journal Article

Capturing the Spillover Effect With Multiplicative Error Models

by Otranto, Edoardo Published in Communications in statistics. Theory and methods (03.08.2015)

“...Recent statistical models for the analysis of volatility in financial markets serve the purpose of incorporating the effect of other markets in their...”

Journal Article

Nonlinearities and regimes in conditional correlations with different dynamics

by Bauwens, Luc Otranto, Edoardo Published in Journal of econometrics (01.08.2020)

“...New parameterizations of the dynamic conditional correlation (DCC) model and of the regime-switching dynamic correlation (RSDC) model are introduced, such that...”

Journal Article

Forecasting realized volatility with changing average levels

by Gallo, Giampiero M Otranto, Edoardo Published in International journal of forecasting (01.07.2015)

“...We explore the abilities of regime switching with Markovian dynamics (MS) and of a smooth transition (ST) nonlinearity within the class of Multiplicative Error...”

Journal Article

Modeling the Dependence of Conditional Correlations on Market Volatility

by Bauwens, Luc Otranto, Edoardo Published in Journal of business & economic statistics (02.04.2016)

“...Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns and several studies have...”

Journal Article

Volatility clustering in the presence of time-varying model parameters

by Otranto, Edoardo Published in Journal of applied statistics (01.04.2013)

“...The volatility pattern of financial time series is often characterized by several peaks and abrupt changes, consistent with the time-varying coefficients of...”

Journal Article

Does Crime Affect Economic Growth?

by Detotto, Claudio Otranto, Edoardo Published in Kyklos (Basel) (01.08.2010)

“...SUMMARY Criminal activity acts like a tax on the entire economy: it discourages domestic and foreign direct investments, it reduces firms' competitiveness, and...”

Journal Article

Forecasting the macro determinants of bank credit quality: a non-linear perspective

by Fallanca, Maria Grazia Forgione, Antonio Fabio Otranto, Edoardo Published in The journal of risk finance (03.08.2020)

“...Purpose This study aims to propose a non-linear model to describe the effect of macroeconomic shocks on delinquency rates of three kinds of bank loans. Indeed,...”

Journal Article

Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors

by Claudio Detotto Edoardo Otranto Published in Journal of quantitative criminology (01.06.2012)

“...In the last decades, the interest in the relationship between crime and business cycle has widely increased. It is a diffused opinion that a causal...”

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Journal Article

A GARCH-VARIANCE DEPENDENT APPROACH TO MODELIZE DYNAMIC CONDITIONAL CORRELATIONS

by Edoardo Otranto Published in Journal of applied statistical science (01.01.2012)

“...Modelling volatility in a multivariate framework has received many contributions in the recent literature, but problems in estimation are still frequently...”

Journal Article

Spatial effects in dynamic conditional correlations

by Otranto, Edoardo Mucciardi, Massimo Bertuccelli, Pietro Published in Journal of applied statistics (11.03.2016)

“...The recent literature on time series has developed a lot of models for the analysis of the dynamic conditional correlation, involving the same variable...”

Journal Article

Patterns of volatility transmissions within regime switching across GCC and global markets

by Khalifa, Ahmed A.A Hammoudeh, Shawkat Otranto, Edoardo Published in International review of economics & finance (01.01.2014)

“...Unlike previous studies, this paper examines volatility transmission patterns for pairs of six stock markets of countries of the Gulf Cooperation Council (GCC)...”

Journal Article

Asset allocation using flexible dynamic correlation models with regime switching

by Otranto, Edoardo Published in Quantitative finance (01.03.2010)

“...The asset allocation decision is often considered as a trade-off between maximizing the expected return of a portfolio and minimizing the portfolio risk. The...”

Journal Article

A time varying hidden Markov model with latent information

by Otranto, Edoardo Published in Statistical modelling (01.12.2008)

“...The time varying hidden Markov models are based on the use of some observable variables, which we suppose to drive the transition probabilities. The estimation...”

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Journal Article

The multi‐chain Markov switching model

by Otranto, Edoardo Published in Journal of forecasting (01.11.2005)

“...In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on the state of other variables or the same variable observed...”

Journal Article

Dataset for petroleum based stock markets and GAUSS codes for SAMEM

by Khalifa, Ahmed A.A Bertuccelli, Pietro Otranto, Edoardo Published in Data in brief (01.02.2017)

“...This article includes a unique data set of a balanced daily (Monday, Tuesday and Wednesday) for oil and natural gas volatility and the oil rich economies’...”

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Journal Article

A realistic model for official interest rate movements and their consequences

by de Dios Tena, Juan Otranto, Edoardo Published in Applied economics (01.12.2011)

“...This article extends the Vector Autoregression (VAR) methodology to examine the consequences of monetary policy decisions by considering two types of...”

Journal Article

Models to date the business cycle: The Italian case

by Bruno, Giancarlo Otranto, Edoardo Published in Economic modelling (2008)

“...The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and...”

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